【风险管理】Ch02金融工具简介.ppt

期货对冲 现货与期货价格的平行运动 对冲的一般原理 最小风险对冲方法 期权的收益及收益图 买权的到期收益： 卖权的到期收益： Interest rate option An interest rate floor is a series of European put options swap option and bond option Swap options An option in which the buyer of the option has the right to enter into to an interest rate swap. The terms of the swaption specify whether the buyer will be the payer of the floating rate or the payer of the fixed rate. It is called a swaption because it is an option on a swap Bond options (标的资产是债券) bond option is an option to buy or sell a bond at a certain price on or before the option expiry date. (OTC) Asian options 固定敲定价亚式买权和卖权的收益 是平均值 浮动敲定价 Binary option a binary option is a type of option in which the payoff can take only two possible outcomes, either some fixed monetary amount of some asset or nothing at all. They are also called?all-or-nothing options,?digital options?, and?fixed return options. Barrier Option Up-and-out: spot price starts below the barrier level and has to move up for the option to be knocked out. (Down-and-out) Up-and-in: spot price starts below the barrier level and has to move up for the option to become activated. (Down-and-out) Barrier option example a European call option may be written on an underlying with spot price of $100 and a knockout barrier of $120. This option behaves in every way like a vanilla European call, except if the spot price ever moves above $120, the option knocks out and the contract is null and void Basket option whose underlying is a (weighted) sum or average of different assets that have been grouped together in a basket. Compound option an option on an option Compound options provide their owners with the right to buy or sell another option A compound option then has two expiration dates and two strike prices Lookback option The payoff depends on the optimal (maximum or minimum) underlying assets price occurring o